The script editor is just a normal text editor, so it works just like any other program that edits files. For saving you must select "Save" in the file menu or click the small disk icon.
When you select "Save As", you can choose a folder where this file is saved. Normally it's the "Strategy" folder, but you can save it in any other folder on your PC. When saving, the editor stores a backup in the sed_backup folder.
The scripts in the Zorro scrollbox are taken from the "Strategy" folder. So all scripts there can be found in that folder and can be edited by clicking on the [Edit] button.
Check also the "ProgramData" folder on your PC. Some Windows versions redirect modified files there if you do not have access right to the "Programs" folder on your PC.